Journal: Designing a Universal Trading System, 06/24/07
Design a write once, trade any market, any timeframe mechanical systemQuestions
What are the immutable characteristics of all tradeable markets?Notes
What are the portfolio implications for such a system and how does that affect design?
Will this take simple or complex tools to build?
Must be exceedingly simple to avoid curve-fitting; few if any parameters.Comments
Will need to automatically adjust itself to market and timeframe being traded to be truly universal ==> lookback and search capability. [This is interesting in that it implies that curve-fitting isn't a bad thing, but that curve-fit once trade forever is.]
Start with overbought/oversold.
Friends, colleagues and peers are expressing a very healthy skepticism - which usually means one or both of the following: there is a lot of potential because no one is looking here, there is a reason no one is looking here...